International Journal of Science and Research (IJSR)

International Journal of Science and Research (IJSR)
Call for Papers | Fully Refereed | Open Access | Double Blind Peer Reviewed

ISSN: 2319-7064




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Research Paper | Finance | Saudi Arabia | Volume 12 Issue 3, March 2023 | Rating: 5.2 / 10


Calendar Effects in Currency: An Empirical Investigation of Foreign Exchange Market

Mohammad Fahad Alsubaie


Abstract: The purpose of this study is to test the day of the week effect, the month of the year effect and holiday effect in the foreign exchange market, specifically in the case of USD/GBP. The study's empirical findings suggest a positive impact of the Monday on the USD/GBP return rate. Hence, this confirms the presence of the anomaly in the exchange market where a significant positive return can be generated on Monday, which is an opening day of the week. However, previous studies have found a negative effect of Monday on the returns of stocks and currencies. In addition, the results further confirm the anomaly that the January effect means in January the returns are less than other months' returns. It is true and demonstrated in the present study where the impact has been found negative and significant, indicating that there is very low or no effect of January on the return of the USD/GBP. Lastly, it has also been found that pre-holiday return is negative and significant, which allows to reject the proposed hypothesis and does not meet with findings of the other scholars who found a positive effect of pre-holiday on the returns.


Keywords: forex trade, finance, stock, equity, governance, Monday, return rate


Edition: Volume 12 Issue 3, March 2023,


Pages: 1381 - 1385


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